Multiple stochastic integrals with Mathematica

DOI10.1016/J.MATCOM.2008.08.005MaRDI QIDQ1005208zbMATH OpenOpenAlexFDO

Authors J. Martínez

Publication date 9 March 2009

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2008.08.005

zbMATH Keywords

multiple stochastic integralsstochastic differential equationsMathematicaexpectationmultiple Stratonovich integralsmultiple Itô integrals

Mathematics Subject Classification ID

Symbolic computation and algebraic computation (68W30) Software, source code, etc. for problems pertaining to probability theory (60-04) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• On the Expectations of Multiple Stratonovich Integrals
• Colored-noise-like multiple Itô stochastic integrals: algorithms and numerics
• scientific article; zbMATH DE number 7038846
• Multiple stochastic integrals constructed by special expansions of products of the integrating stochastic processes
• Multiple Itô and Stratonovich stochastic integrals: Fourier-Legendre and trigonometric expansions, approximations, formulas

Cites work

• scientific article; zbMATH DE number 3839062 (Why is no real title available?)
• scientific article; zbMATH DE number 1292563 (Why is no real title available?)
• scientific article; zbMATH DE number 711262 (Why is no real title available?)
• A basis for iterated stochastic integrals
• High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Relations between multiple ito and stratonovich integrals
• The approximation of multiple stochastic integrals

Cited in

(6)

• A family of Chaplygin-type solvers for Itô stochastic differential equations
• Simplified order 4.0 weak Taylor schemes for additive noise
• On relation between one multiple and a corresponding one-dimensional integral with applications
• Maximum-likelihood estimation for diffusion processes via closed-form density expansions
• On the Expectations of Multiple Stratonovich Integrals
• Colored-noise-like multiple Itô stochastic integrals: algorithms and numerics

Describes a project that uses

Uses Software

• Mathematica

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